Ian McGregor of the Federal Aviation Administration said a pilot reported seeing the collision about 15 miles northwest of Deer Valley Airport around 10 a.m. MDT, The Arizona Republic reported.
Daisy Mountain Fire Department Capt. Dave Wilson said personnel who found the planes reported one of the aircraft caught fire after it crashed and was destroyed, the newspaper said.
The other aircraft was on the ground about 100 yards from the destroyed plane. It was mostly intact and two male occupants were confirmed dead.
Daisy Mountain Fire Department Capt. Darren Salotti said it appeared the pilot of the second plane had tried to land.
Phoenix Police Department is investigating, along with the FAA and the National Transportation Safety Board.
The identities of the four dead were not released.